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Testing for Equality Between Two Copulas

Collection
  • Cahiers de recherche; 2006.05
Publication date2006
Abstract

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cramér-von Mises test statistic. Finite sample properties are assessed with Monte Carlo experiments. We apply the testing procedure on empirical examples in finance, psychology, insurance and medicine.

Citation (ISO format)
RÉMILLARD, Bruno, SCAILLET, Olivier. Testing for Equality Between Two Copulas. 2006
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Identifiers
  • PID : unige:5745
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Creation15/04/2010 12:19:42
First validation15/04/2010 12:19:42
Update time14/03/2023 15:26:25
Status update14/03/2023 15:26:25
Last indexation29/10/2024 14:22:04
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